Calculate the leverage-adjusted duration gap to four decimal places and state the FI's interest rate risk...
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Calculate the leverage-adjusted duration gap to four decimal places and state the FI's interest rate risk exposure of this institution. Assets Cash Loans Treasuries Liabilities and Equity Time Deposits CDs Equity Amount $75 million $750 million $175 million $350 million $575 million $75 million Rate 12 percent 9 percent 7 percent 8 percent Duration 1.75 years 7.00 years 1.75 years 2.50 years Calculate the leverage-adjusted duration gap to four decimal places and state the FI's interest rate risk exposure of this institution. Assets Cash Loans Treasuries Liabilities and Equity Time Deposits CDs Equity Amount $75 million $750 million $175 million $350 million $575 million $75 million Rate 12 percent 9 percent 7 percent 8 percent Duration 1.75 years 7.00 years 1.75 years 2.50 years
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To calculate the leverageadjusted duration gap we need to first calculate the duration gap and the e... View the full answer
Related Book For
Financial Institutions Management A Risk Management Approach
ISBN: 978-0071051590
8th edition
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
Posted Date:
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